ON A CLASS OF APPROXIMATIONS FOR RUIN AND WAITING TIME PROBABILITIES

Authors
WILLMOT GE
Citation
Ge. Willmot, ON A CLASS OF APPROXIMATIONS FOR RUIN AND WAITING TIME PROBABILITIES, Operations research letters, 22(1), 1998, pp. 27-32
Citations number
13
Categorie Soggetti
Operatione Research & Management Science","Operatione Research & Management Science
Journal title
Operations research letters → ACNP
ISSN journal
01676377
Volume
22
Issue
1
Year of publication
1998
Pages
27 - 32
Database
ISI
SICI code
0167-6377(1998)22:1<27:OACOAF>2.0.ZU;2-Q
Abstract
A generalized class of Tijms-type approximations for ruin and waiting time probabilities is discussed. Conditions are obtained under which t he correct asymptotic right tail behavior is exhibited, thus providing an answer to a question raised in connection with the Tijms approxima tion. Gamma and IFR tail corrections are considered. (C) 1998 Elsevier Science B.V. All rights reserved.